References
- A. Basse-O'Connor and J. Rosinski, Characterization of the finite variation property for a class of stationary increment infinitely divisible processes, Stochastic Process. Appl. 123 (2013), no. 6, 1871-1890. https://doi.org/10.1016/j.spa.2013.01.014
- A. Basse-O'Connor and J. Rosinski, On infinitely divisible semimartingales, Probab. Theory Related Fields 164 (2016), no. 1-2, 133-163. https://doi.org/10.1007/s00440-014-0609-1
- P. Brockwell, E. Chadraa, and A. Lindner, Continuous-time GARCH processes, Ann. Appl. Probab. 16 (2006), no. 2, 790-826. https://doi.org/10.1214/105051606000000150
- G. Cai and C. Wu, Modeling of bounded stochastic processes, Probabilistic Engineering Mechanics 19 (2004), 197-203. https://doi.org/10.1016/j.probengmech.2004.02.002
- R. Cont and D. Fournie, A functional extension of the Ito formula, C. R. Math. Acad. Sci. Paris 348 (2010), no. 1-2, 57-61. https://doi.org/10.1016/j.crma.2009.11.013
- R. Cont and D. Fournie, Change of variable formulas for non-anticipative functionals on path space, J. Funct. Anal. 259 (2010), no. 4, 1043-1072. https://doi.org/10.1016/j.jfa.2010.04.017
- R. Cont and D. Fournie, Functional Ito calculus and stochastic integral representation of martingales, Ann. Probab. 41 (2013), no. 1, 109-133. https://doi.org/10.1214/11-AOP721
- R. J. Elliott, T. K. Siu, and A. Badescu, On pricing and hedging options in regime-switching models with feedback effect, J. Econom. Dynam. Control 35 (2011), no. 5, 694-713. https://doi.org/10.1016/j.jedc.2010.12.014
- R. Frey and A. Stremme, Market volatility and feedback effects from dynamic hedging, Math. Finance 7 (1997), no. 4, 351-374. https://doi.org/10.1111/1467-9965.00036
- P. Jung, T. Owada, and G. Samorodnitsky, Functional central limit theorem for a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows, Ann. Probab. 45 (2017), no. 4, 2087-2130. https://doi.org/10.1214/16-AOP1107
- C. Kluppelberg, A. Lindner, and R. Maller, A continuous-time GARCH process driven by a Levy process: stationarity and second-order behaviour, J. Appl. Probab. 41 (2004), no. 3, 601-622. https://doi.org/10.1017/s0021900200020428
- C. Kluppelberg, R. Maller, and A. Szimayer, The COGARCH: a review, with news on option pricing and statistical inference, in Surveys in stochastic processes, 29-58, EMS Ser. Congr. Rep, Eur. Math. Soc., Zurich, 2011. https://doi.org/10.4171/072-1/2
- K. Lee and P. Protter, Hedging claims with feedback jumps in the price process, Commun. Stoch. Anal. 2 (2008), no. 1, 125-143. https://doi.org/10.31390/cosa.2.1.09
- B. Oksendal, Stochastic Differential Equations, second edition, Universitext, Springer-Verlag, Berlin, 1989. https://doi.org/10.1007/978-3-662-02574-1
- P. E. Protter, Stochastic integration and differential equations, second edition, Applications of Mathematics (New York), 21, Springer-Verlag, Berlin, 2004.
- G. Stoica, A stochastic delay financial model, Proc. Amer. Math. Soc. 133 (2005), no. 6, 1837-1841. https://doi.org/10.1090/S0002-9939-04-07765-2